Second order backward stochastic differential equations and fully non-linear parabolic PDEs

Details Second order backward stochastic differential equations and fully non-linear parabolic PDEs Second order backward stochastic differential equations and fully non-linear parabolic PDEs

2005-09-14

arxiv.org/abs/math/0509295v1

Mathematics

Probability

26 pages

Scientific paper

We introduce a class of second order backward stochastic differential
equations and show relations to fully non-linear parabolic PDEs. In particular,
we provide a stochastic representation result for solutions of such PDEs and
discuss Monte Carlo methods for their numerical treatment.

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